C Options History — April 2016

In April 2016, C traded between $40.16 and $47.38. ATM implied volatility averaged 27.5%, placing in the 33.0% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 1.0% (HV 20d: 28.5%). Max pain ranged from $42.00 to $42.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.80.

Notable Days

2016-04-15: Highest Volume — 229,581 contracts
2016-04-07: Largest IV spike — 11.2% change
2016-04-07: Highest IV Rank — 48.2%
2016-04-07: Largest Expected Move — 9.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.32	$40.16	$47.38	$42.50	$46.28
Max Pain	$42.48	$42.00	$42.50	$42.00	$42.50
ATM IV	27.5%	24.5%	33.2%	27.8%	26.0%
Expected Move	7.8%	7.0%	9.2%	8.7%	7.4%
HV 20d	28.5%	22.1%	32.0%	24.8%	30.6%
HV 60d	40.5%	37.3%	42.9%	42.9%	37.3%
IV Rank	33.0%	24.9%	48.2%	33.7%	28.9%
IV Percentile	62.4%	49.6%	86.1%	64.3%	55.2%
Term Structure	-0.5%	-1.2%	0.1%	-0.7%	-0.7%
VWIV	27.9%	24.7%	33.6%	30.2%	26.5%
Skew 25d	4.0%	2.7%	5.6%	4.3%	4.0%
Skew 10d	8.7%	4.1%	15.4%	12.9%	7.4%
Call IV 25d	26.0%	23.3%	31.1%	26.3%	24.7%
Put IV 25d	30.0%	26.2%	36.3%	30.6%	28.7%
Bid-Ask Spread %	5.19	2.51	8.71	2.83	4.89
Gamma HHI	0.13	0.09	0.52	0.12	0.11
Net GEX	38.8M	-3.6M	123.9M	23.9M	52.2M
Net DEX	-327.1M	-1.13B	711.2M	117.3M	-714.6M
Net VEX	-11.7M	-13.2M	-9.8M	-10.6M	-13.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.80	0.50	1.41	0.86	0.51
Total Volume	106,337.619	52,134	229,581	129,521	83,854
Total OI	1,701,969.143	1,617,410	1,849,114	1,668,147	1,730,583

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2016-04-01	$42.50	$42.00	27.8%	8.7%	24.8%	33.7%	30.2%	4.3%	-0.7%	23.9M	117.3M	-10.6M	0.86	2.83	69,552	59,969	998,399	669,748
2016-04-04	$42.03	$42.50	29.1%	8.0%	25.1%	37.3%	28.4%	5.2%	-0.1%	12.1M	263.2M	-10.3M	0.78	2.51	42,260	32,859	955,767	661,643
2016-04-05	$41.57	$42.50	30.8%	8.3%	25.2%	41.8%	29.5%	4.8%	-0.8%	8.0M	372.3M	-10.3M	0.76	2.67	60,885	46,386	962,980	670,549
2016-04-06	$41.83	$42.50	29.8%	8.2%	22.1%	39.2%	33.6%	4.8%	-0.5%	12.1M	325.0M	-10.4M	1.23	4.70	37,086	45,565	985,082	685,269
2016-04-07	$40.16	$42.50	33.2%	9.2%	26.6%	48.2%	33.0%	5.2%	-1.1%	-3.6M	711.2M	-9.8M	0.82	3.73	54,689	44,990	989,518	698,573
2016-04-08	$40.45	$42.50	31.7%	9.0%	26.7%	44.2%	30.4%	5.6%	-0.6%	10.7M	643.9M	-10.0M	1.00	5.59	37,510	37,602	1,012,048	712,047
2016-04-11	$41.26	$42.50	30.3%	8.3%	23.6%	40.4%	31.5%	5.1%	-1.1%	5.1M	440.0M	-10.3M	1.41	6.05	27,553	38,943	984,806	699,179
2016-04-12	$41.83	$42.50	30.7%	8.5%	24.2%	41.5%	29.4%	4.9%	-1.2%	10.4M	306.3M	-10.4M	0.84	5.48	39,827	33,604	991,937	707,489
2016-04-13	$44.29	$42.50	29.8%	8.2%	31.7%	39.0%	29.9%	4.6%	-1.2%	31.9M	-362.7M	-11.7M	0.52	8.71	141,960	74,292	1,006,334	712,941
2016-04-14	$45.02	$42.50	27.5%	7.7%	31.9%	32.8%	27.8%	4.0%	-0.7%	47.9M	-672.0M	-12.0M	0.98	7.24	89,505	87,552	1,061,491	743,173
2016-04-15	$44.94	$42.50	24.5%	7.0%	32.0%	24.9%	25.1%	3.7%	-0.6%	123.9M	-580.6M	-11.7M	0.55	5.69	148,166	81,415	1,082,218	766,896
2016-04-18	$45.05	$42.50	26.3%	7.6%	31.0%	29.7%	26.7%	3.1%	-0.3%	38.3M	-398.7M	-11.7M	0.56	6.11	90,218	50,359	978,789	639,905
2016-04-19	$45.55	$42.50	25.1%	7.2%	31.1%	26.5%	25.7%	2.9%	-0.1%	46.3M	-576.4M	-12.2M	0.71	5.53	58,988	41,738	1,012,893	658,989
2016-04-20	$46.70	$42.50	24.5%	7.0%	31.9%	24.9%	24.8%	2.7%	0.1%	54.6M	-944.9M	-12.5M	0.90	5.03	58,608	52,726	1,019,786	671,504
2016-04-21	$46.60	$42.50	25.8%	7.4%	30.6%	28.3%	26.7%	3.1%	-0.4%	53.1M	-935.2M	-12.9M	0.91	4.88	46,458	42,286	1,029,830	685,947
2016-04-22	$46.96	$42.50	24.8%	7.1%	29.8%	25.6%	24.7%	3.4%	0.1%	65.1M	-1.07B	-13.1M	0.77	5.15	67,657	52,118	1,040,130	692,180
2016-04-25	$46.61	$42.50	25.4%	7.3%	30.1%	27.3%	25.9%	3.2%	-0.2%	51.7M	-844.8M	-13.1M	0.69	5.88	34,401	23,752	1,018,548	663,301
2016-04-26	$47.05	$42.50	25.1%	7.2%	29.8%	26.6%	25.6%	3.3%	-0.6%	54.9M	-988.4M	-13.1M	0.50	4.63	47,274	23,575	1,027,649	671,048
2016-04-27	$47.38	$42.50	24.5%	7.0%	29.8%	24.9%	25.1%	3.0%	-0.1%	61.2M	-1.13B	-13.2M	0.67	5.67	44,707	30,067	1,038,569	679,893
2016-04-28	$46.70	$42.50	25.5%	7.3%	30.5%	27.4%	25.9%	3.9%	-0.3%	55.6M	-833.1M	-13.1M	0.72	6.00	30,256	21,878	1,036,036	687,685
2016-04-29	$46.28	$42.50	26.0%	7.4%	30.6%	28.9%	26.5%	4.0%	-0.7%	52.2M	-714.6M	-13.1M	0.51	4.89	55,537	28,317	1,038,180	692,403